The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model

DOI10.1007/S10690-011-9142-8MaRDI QIDQ431920zbMATH OpenOpenAlexFDO

Authors Romuald Hervé Momeya, Zied Ben Salah

Publication date 3 July 2012

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-011-9142-8

zbMATH Keywords

regime switching modelMarkov additive processminimal entropy martingale measureLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

(8)

• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
• The MEMMs for Markov-modulated GBMs
• Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
• A sparse Markov chain approximation of LQ-type stochastic control problems.
• Lévy systems and the time value of ruin for Markov additive processes
• The MEMMs for Markov switching Lévy processes
• On the price of risk under a regime switching CGMY process
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model

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